St. Petersburg Mathematical Society

On the rate of convergence of finite-difference approximations for Bellman equations with constant coefficients

Author(s): Hongjie Dong; N. V. Krylov
Original publication: Algebra i Analiz, tom 17 (2005), vypusk 2.
Journal: St. Petersburg Math. J. 17 (2006), 295-313.
MSC (2000): Primary 65M15, 35J60, 93E20
Posted: February 10, 2006
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Abstract: Elliptic Bellman equations with coefficients independent of the variable

are considered. Error bounds for certain types of finite-difference schemes are obtained. These estimates are sharper than the earlier results in Krylov's article of 1997.

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Retrieve articles in St. Petersburg Mathematical Journal with MSC (2000): 65M15, 35J60, 93E20

Hongjie Dong
Affiliation: 127 Vincent Hall, University of Minnesota, Minneapolis, Minnesota 55455
Email: hjdong@math.umn.edu

N. V. Krylov
Affiliation: 127 Vincent Hall, University of Minnesota, Minneapolis, Minnesota 55455
Email: krylov@math.umn.edu

DOI: 10.1090/S1061-0022-06-00905-8
PII: S 1061-0022(06)00905-8
Keywords: Finite-difference approximations, Bellman equations, fully nonlinear equations
Received by editor(s): 24/MAY/2004
Posted: February 10, 2006
Additional Notes: The second author was partially supported by NSF (grant DMS--0140405).
Copyright of article: Copyright 2006, American Mathematical Society

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ISSN: 1547-7371(e) ISSN: 1061-0022(p)

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